Predicting monetary policy with federal funds futures prices

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Do Measures of Monetary Policy in a Var Make Sense?

1998 • 654 citations

The Daily Market for Federal Funds

1996 • 415 citations

Federal Reserve interest rate targeting, rational expectations, and the term structure

1995 • 374 citations

The Fed funds futures rate as a predictor of federal reserve policy

1996 • 289 citations

New techniques to extract market expectations from financial instruments

1997 • 201 citations

A Micro Model of the Federal Funds Market

1985 • 150 citations

The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability

1988 • 124 citations

Bank window dressing: Theory and evidence

1992 • 123 citations

Day-of-the-week effects in federal funds rates: Further empirical findings

1995 • 87 citations

Instruments of the money market

1993 • 45 citations

The effects of shifts in monetary policy and reserve accounting regimes on bank reserve management behavior in the federal funds market

1988 • 29 citations